2-10
We have the following information on a portfolio consisting of Stocks A, B, and C:
A B C
Expectd annual return 25% 20% 15%
Standard Deviation of Return 35% 30% 25%
Price per share 100 85 75
# shares 100,000 150,000 200,000
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correlation coefficient (A,B) 0.5
correlation coefficient (A,C) 0.2
correlation coefficient (B,C) 0.8
number of days per year 365
What is the portfolio weight of A,B, and C shares in the portfolio?
Include formula, variables, values, and market values of A, B, and C.